Index

• Section I of this document will examine current capital market conditions.
• Section II will examine current macroeconomic conditions.
• Section III will discuss underlying economic theory to serve as a platform for forward looking discussion about capital markets (allocation, position sizing).
• Section IV will contain forward looking thoughts and technical decomposition.

Section I

Cash Equivalent - U.S. Total Money Market (T-Bills <1yr. maturity)

##                           TBill_1Month_ret
## Annualized Return                   0.0044
## Annualized Std Dev                  0.0021
## Annualized Sharpe (Rf=0%)           2.1230

U.S. Fixed Income - iShares Core U.S. Aggregate Bond ETF

## [1] "AGG"

##                           AggBonds_ret
## Annualized Return               0.0339
## Annualized Std Dev              0.0299
## Annualized Sharpe (Rf=0%)       1.1335

U.S. Short Term Bond Market iShares 1-3 Year Treasury Bond ETF

## [1] "SHY"

##                           short_bond_ret
## Annualized Return                 0.0091
## Annualized Std Dev                0.0085
## Annualized Sharpe (Rf=0%)         1.0756

U.S. Long Term Bond Market (Barclays U.S. Long Term Treasuries Index, Vanguard VUSTX Mutual Fund, U.S. Treasury Bonds with more than ten years maturity)

## [1] "VUSTX"

##                           long_bond_ret
## Annualized Return                0.0558
## Annualized Std Dev               0.1094
## Annualized Sharpe (Rf=0%)        0.5102

International Total Bond Market (Barclays Global Aggregate Bond Market, Invesco AUBAX Mutual Fund, International Investment Grade Bond Market)

## [1] "AUBAX"

##                           int_bonds_ret
## Annualized Return                0.0241
## Annualized Std Dev               0.0706
## Annualized Sharpe (Rf=0%)        0.3420

U.S. Cash, Cash Equivalents and Fixed Income or Bond Markets Returns Comparison

##                           TBill_1Month_ret short_bond_ret AggBonds_ret
## Annualized Return                   0.0044         0.0091       0.0339
## Annualized Std Dev                  0.0021         0.0085       0.0299
## Annualized Sharpe (Rf=0%)           2.1230         1.0756       1.1335
##                           long_bond_ret
## Annualized Return                0.0558
## Annualized Std Dev               0.1094
## Annualized Sharpe (Rf=0%)        0.5102

U.S. and International Total Bond Markets Returns Comparison

##                           AggBonds_ret int_bonds_ret
## Annualized Return               0.0339        0.0241
## Annualized Std Dev              0.0299        0.0706
## Annualized Sharpe (Rf=0%)       1.1335        0.3420

U.S. Total Stock Market (Russell 3000 Index, Vanguard VTSMX Mutual Fund)

## [1] "VTSMX"

##                           us_tot_stock_ret
## Annualized Return                   0.1439
## Annualized Std Dev                  0.1278
## Annualized Sharpe (Rf=0%)           1.1261

U.S. Large Cap Stock Market (S&P 500 Index, Vanguard VFINX Mutual Fund)

## [1] "VFINX"

##                           large_cap_ret
## Annualized Return                0.1433
## Annualized Std Dev               0.1234
## Annualized Sharpe (Rf=0%)        1.1613

U.S. Small Cap Stock Market (Russell 2000 Index, Vanguard NAESX Mutual Fund)

## [1] "NAESX"

##                           small_cap_ret
## Annualized Return                0.1462
## Annualized Std Dev               0.1615
## Annualized Sharpe (Rf=0%)        0.9051

U.S. Small Cap Growth Stock Market (Russell 2000 Growth Index, Vanguard VISGX Mutual Fund)

## [1] "VISGX"

##                           small_cap_growth_ret
## Annualized Return                       0.1523
## Annualized Std Dev                      0.1675
## Annualized Sharpe (Rf=0%)               0.9091

U.S. Small Cap Value Stock Market (Russell 2000 Growth Index, Vanguard VISVX Mutual Fund)

## [1] "VISVX"

##                           small_cap_value_ret
## Annualized Return                      0.1393
## Annualized Std Dev                     0.1592
## Annualized Sharpe (Rf=0%)              0.8750

International Total Stock Market (MSCI International Index, Vanguard VGTSX Mutual Fund)

## [1] "VGTSX"

##                           int_tot_stock_ret
## Annualized Return                    0.0629
## Annualized Std Dev                   0.1476
## Annualized Sharpe (Rf=0%)            0.4264

International Developed Stock Market (MSCI International Developed Index, Vanguard VTMGX Mutual Fund)

## [1] "VTMGX"

##                           int_developed_stock_ret
## Annualized Return                          0.0678
## Annualized Std Dev                         0.1474
## Annualized Sharpe (Rf=0%)                  0.4598

International Emerging Stock Market (MSCI International Emerging Index, Vanguard VEIEX Mutual Fund)

## [1] "VEIEX"

##                           int_emerging_stock_ret
## Annualized Return                         0.0521
## Annualized Std Dev                        0.1744
## Annualized Sharpe (Rf=0%)                 0.2987

U.S. and International Total Stock Markets Returns Comparison

##                           us_tot_stock_ret int_tot_stock_ret
## Annualized Return                   0.1439            0.0629
## Annualized Std Dev                  0.1278            0.1476
## Annualized Sharpe (Rf=0%)           1.1261            0.4264

U.S. Market Cap Stock Markets Returns Comparison

##                           large_cap_ret us_tot_stock_ret small_cap_ret
## Annualized Return                0.1433           0.1439        0.1462
## Annualized Std Dev               0.1234           0.1278        0.1615
## Annualized Sharpe (Rf=0%)        1.1613           1.1261        0.9051

U.S. Investment Style Stock Markets Returns Comparison

##                           small_cap_ret small_cap_value_ret
## Annualized Return                0.1462              0.1393
## Annualized Std Dev               0.1615              0.1592
## Annualized Sharpe (Rf=0%)        0.9051              0.8750
##                           small_cap_growth_ret
## Annualized Return                       0.1523
## Annualized Std Dev                      0.1675
## Annualized Sharpe (Rf=0%)               0.9091

International Stock Markets Returns Comparison

##                           int_developed_stock_ret int_tot_stock_ret
## Annualized Return                          0.0678            0.0629
## Annualized Std Dev                         0.1474            0.1476
## Annualized Sharpe (Rf=0%)                  0.4598            0.4264
##                           int_emerging_stock_ret
## Annualized Return                         0.0521
## Annualized Std Dev                        0.1744
## Annualized Sharpe (Rf=0%)                 0.2987